Cumulative Prospect Theory and the Variance Premium

Author:

Baele Lieven,Driessen Joost,Londono Juan M.,Spalt Oliver G.

Publisher

Elsevier BV

Reference45 articles.

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1. Financial & investment strategies to captivate S&P 500 volatility premium;Investment Management and Financial Innovations;2017-10-06

2. Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions;Journal of Financial and Quantitative Analysis;2017-10

3. Decision-Theoretic Calibration of Option Pricing Models;SSRN Electronic Journal;2017

4. Probability Weighting, Stop-Loss and the Disposition Effect;SSRN Electronic Journal;2017

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